Time-consistent mean-variance portfolio selection in discrete and continuous time

DOI10.1007/s00780-012-0189-9zbMath1263.91046arXiv1205.4748MaRDI QIDQ1945040

Publication date: 2 April 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.4748

zbMATH Keywords

portfolio optimization; local risk minimization; time consistency; Markowitz problem; convergence of optimal trading strategies; Foelmer-Schweizer decomposition; Mean-variance criterion; time-incinsistent optimal control

Mathematics Subject Classification ID

60G48: Generalizations of martingales

93E20: Optimal stochastic control

91G10: Portfolio theory

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